Forecasting with vector autoregressive models of data vintages: US output growth and inflation

Michael Clements and Ana Galvão

International Journal of Forecasting, 2013, vol. 29, issue 4, 698-714

Abstract: Vintage-based vector autoregressive models of a single macroeconomic variable are shown to be a useful vehicle for obtaining forecasts of different maturities of future and past observations, including estimates of post-revision values. The forecasting performance of models which include information on annual revisions is superior to that of models which only include the first two data releases. However, the empirical results indicate that a model which reflects the seasonal nature of data releases more closely does not offer much improvement over an unrestricted vintage-based model which includes three rounds of annual revisions.

Keywords: Data revisions; Forecasting; Data uncertainty (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:29:y:2013:i:4:p:698-714

DOI: 10.1016/j.ijforecast.2011.09.003

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